A bootstrap technique for dynamical systems

12.05.2022 15:15 - 17:15

Kasun Fernando (Scuola Normale Superiore di Pisa)

Despite their deterministic nature, dynamical systems often exhibit seemingly random behaviour. Consequently, a dynamical system is usually represented by a probabilistic model of which the unknown parameters must be estimated using statistical methods. When measuring the uncertainty of such parameter estimation, the bootstrap stands out as a simple but powerful technique. In this talk, I will introduce a bootstrap technique for dynamical systems and discuss its consistency and second-order efficiency using a novel continuous Edgeworth expansions for dynamical systems. This is a joint work with Nan Zou (Macquarie University).

Organiser:

H. Bruin, R. Zweimüller

Location:

SR 09, 2. OG, OMP 1